Probably not fog lights (those would be clear)...probably for the turn signals.
Here is a picture from another post (Moshpit37's car):
I think it's a great look for people who don't want to wire up resistors for LEDs, but still like the clean look. This will probably be my first "modification" when i get my car next year (unless I can find an LED that is internally resisted somehow...don't want to cut any wires on the car).